U.S. patent application number 14/789527 was filed with the patent office on 2017-01-05 for dissemination of order status information present on an electronic exchange.
The applicant listed for this patent is Chicago Mercantile Exchange Inc.. Invention is credited to Paul Bauerschmidt, James Bradley, Dan Judson, Russell Karas, Yu Sang Kwan, Baris Mestanogullari, Carrick Pierce, Manik Repaka.
Application Number | 20170004575 14/789527 |
Document ID | / |
Family ID | 57684445 |
Filed Date | 2017-01-05 |
United States Patent
Application |
20170004575 |
Kind Code |
A1 |
Repaka; Manik ; et
al. |
January 5, 2017 |
DISSEMINATION OF ORDER STATUS INFORMATION PRESENT ON AN ELECTRONIC
EXCHANGE
Abstract
The disclosed embodiments relate to facilitating the
dissemination of order status information to market participants
from an Exchange. According to one or more disclosed embodiments, a
system or method is provided for monitoring one or more thinly
traded products and/or markets and converting the exchange-based
order information of a given product or market into instant
messages to market participants. When the status of one or more
monitored products or markets changes, an instant message is
generated reflecting those changes in the market. The instant
messages are disseminated to all market participants who have
registered interest in the monitored product.
Inventors: |
Repaka; Manik; (Gillette,
NJ) ; Bradley; James; (Chicago, IL) ;
Mestanogullari; Baris; (Chicago, IL) ; Judson;
Dan; (Chicago, IL) ; Bauerschmidt; Paul;
(Chicago, IL) ; Karas; Russell; (Chicago, IL)
; Pierce; Carrick; (Chicago, IL) ; Kwan; Yu
Sang; (Chicago, IL) |
|
Applicant: |
Name |
City |
State |
Country |
Type |
Chicago Mercantile Exchange Inc. |
Chicago |
IL |
US |
|
|
Family ID: |
57684445 |
Appl. No.: |
14/789527 |
Filed: |
July 1, 2015 |
Current U.S.
Class: |
1/1 |
Current CPC
Class: |
G06Q 40/04 20130101;
H04L 51/046 20130101; H04L 51/04 20130101; H04L 12/1859
20130101 |
International
Class: |
G06Q 40/04 20060101
G06Q040/04; H04L 12/58 20060101 H04L012/58 |
Claims
1. A computer implemented method for providing alerts to at least a
subset of a plurality of participants via a network, the method
comprising: providing a data structure stored in a memory and
configured to store data indicative of one or more previously
received but unsatisfied transactions; providing a match processor
coupled with the memory and operative, upon receipt of an incoming
transaction, to determine whether one or more previously received
but unsatisfied transactions are stored in the data structure which
are at least partially counter to the incoming transaction, and,
based thereon, store any residual unsatisfied portion of the
incoming order or the one or more previously received but
unsatisfied orders in the data structure; monitoring, by a
monitoring processor coupled with the match processor and the
memory, incoming transactions received by the match processor;
determining, by the monitoring processor, when an incoming
transaction for a monitored product is indicative of a change in
the state of a market for the monitored product; generating, by the
monitoring processor, when it is determined that the incoming
transaction for the monitored product changed the state of the
market for the monitored product, a message indicative thereof; and
transmitting, by the monitoring processor, the generated message to
the subset of the plurality of participants.
2. The computer implemented method of claim 1 wherein the message
is an instant message.
3. The computer implemented method of claim 2 wherein the instant
message is an instant message in a chat room.
4. The computer implemented method of claim 1 wherein the changed
state of the market for the monitored product is a transaction for
the monitored product.
5. The computer implemented method of claim 4 wherein generating
the message converts the transaction into the instant message.
6. The computer implemented method of claim 4 wherein the changed
state of the market for the monitored product is an initial
transaction for the monitored product.
7. The computer implemented method of claim 4 wherein the changed
state of the market for the monitored product is a satisfied
transaction for the monitored product.
8. The computer implemented method of claim 7 wherein the changed
state of the market for the monitored product is an initial
satisfied transaction for the monitored product.
9. The computer implemented method of claim 4 wherein the changed
state of the market for the monitored product is one of a plurality
of transactions for the monitored product, wherein the total number
of transactions in the plurality of transactions is below a
threshold number of transactions.
10. The computer implemented method of claim 1 wherein the changed
state of the market for the monitored product is an increase in the
product quantity in the unsatisfied transactions increases over a
threshold product quantity.
11. The computer implemented method of claim 1 wherein the changed
state of the market for the monitored product is an increase in the
product quantity in the unsatisfied transactions increases by a
threshold product quantity.
12. The computer implemented method of claim 1 wherein the changed
state of the market for the monitored product is an increase in the
number of transactions over a threshold number of transactions.
13. The computer implemented method of claim 1 wherein the changed
state of the market for the monitored product is an increase in the
number of transactions by a threshold number of transactions.
14. The computer implemented method of claim 1 wherein the changed
state of the market for the monitored product occurs when the
difference between a transaction to buy a product and a transaction
to sell a product is less than a threshold amount.
15. The computer implemented method of claim 1 wherein the changed
state of the market for the monitored product occurs when the
incoming transaction changes the price of a product by less than a
threshold amount.
16. The computer implemented method of claim 1 wherein the changed
state of the market for the monitored product occurs when the
incoming transaction changes the price of a product by more than a
threshold amount.
17. A system for providing alerts to at least a subset of a
plurality of participants via a network, the system comprising:
first logic stored in a memory to provide a data structure to store
one or more previously received but unsatisfied transactions;
second logic stored in the memory and executable by the processor
to cause the processor to, upon receipt of an incoming transaction,
determine whether one or more previously received but unsatisfied
transactions are stored in the data structure which are at least
partially counter to the incoming transaction, and, based thereon,
store any residual unsatisfied portion of the incoming order or the
one or more previously received but unsatisfied orders in the data
structure; third logic stored in the memory and executable by the
processor to cause the processor to monitor incoming transactions
received and stored in the data structure; fourth logic stored in
the memory and executable by the processor to determine when an
incoming transaction for a monitored product is indicative of a
change in the state of a market for the monitored product; fifth
logic stored in the memory and executable by the processor to
generate, when it is determined that the incoming transaction for
the monitored product changed the state of the market for the
monitored product, a message; sixth logic stored in the memory and
executable by the processor to transmit the generated message to
the subset of the plurality of participants.
18. The system of claim 17 wherein the message is an instant
message in a chat room.
19. A system for providing alerts to at least a subset of a
plurality of participants via a network, the system comprising: a
data structure stored in a memory and configured to store one or
more previously received but unsatisfied transactions; a match
processor coupled with the memory and operative, upon receipt of an
incoming transaction, to determine whether one or more previously
received but unsatisfied transactions are stored in the data
structure which are at least partially counter to the incoming
transaction, and, based thereon, store any residual unsatisfied
portion of the incoming order or the one or more previously
received but unsatisfied orders in the data structure; a monitoring
processor coupled with the match processor operative to monitor
incoming transactions received by the match processor; a
determining processor coupled with the monitoring processor
operative to determine when an incoming transaction for a monitored
product is indicative of a change in the state of a market for the
monitored product; a message generation processor coupled to the
determining processor operative to generate, when it is determined
that the incoming transaction for a monitored product changed the
state of the market for the monitored product, a message; and a
message transmitter coupled to the message generation processor
operative to transmit the generated message to the subset of the
plurality of participants.
20. The system of claim 19 wherein the message is an instant
message in a chat room.
Description
BACKGROUND
[0001] A financial instrument trading system, such as a futures
exchange, referred to herein also as an "Exchange", such as the
Chicago Mercantile Exchange Inc. (CME), provides a contract market
where financial instruments, for example futures and options on
futures, are traded. Futures is a term used to designate all
contracts for the purchase or sale of financial instruments or
physical commodities for future delivery or cash settlement on a
commodity futures exchange. A futures contract is a legally binding
agreement to buy or sell a commodity at a specified price at a
predetermined future time. An option is the right, but not the
obligation, to sell or buy the underlying instrument (in this case,
a futures contract) at a specified price within a specified time.
The commodity to be delivered in fulfillment of the contract, or
alternatively the commodity for which the cash market price shall
determine the final settlement price of the futures contract, is
known as the contract's underlying reference or "underlier." The
terms and conditions of each futures contract are standardized as
to the specification of the contract's underlying reference
commodity, the quality of such commodity, quantity, delivery date,
and means of contract settlement. Cash Settlement is a method of
settling a futures contract whereby the parties effect final
settlement when the contract expires by paying/receiving the
loss/gain related to the contract in cash, rather than by effecting
physical sale and purchase of the underlying reference commodity at
a price determined by the futures contract, price.
[0002] Typically, the Exchange provides for a centralized "clearing
house" through which all trades made must be confirmed, matched,
and settled each day until offset or delivered. The clearing house
is an adjunct to the Exchange, and may be an operating division of
the Exchange, which is responsible for settling trading accounts,
clearing trades, collecting and maintaining performance bond funds,
regulating delivery, and reporting trading data. The essential role
of the clearing house is to mitigate credit risk. Clearing is the
procedure through which the Clearing House becomes buyer to each
seller of a futures contract, and seller to each buyer, also
referred to as a novation, and assumes responsibility for
protecting buyers and sellers from financial loss due to breach of
contract, by assuring performance on each contract. A clearing
member is a firm qualified to clear trades through the Clearing
House.
[0003] Current financial instrument trading systems allow traders
to submit orders and receive confirmations, market data, and other
information electronically via a network. These "electronic"
marketplaces are an alternative to pit based trading systems
whereby the traders, or their representatives, all physically stand
in a designated location, i.e. a trading pit, and trade with each
other via oral and hand based communication. Anyone standing in or
near the trading pit may be privy to the trades taking place, i.e.
who is trading, what they are offering to trade (price and
quantity), and what ultimately trades. Electronic trading systems
attempt to replicate the trading pit environment in a marketplace
of electronic form. In doing so, electronic trading systems ideally
offer an efficient, fair and balanced market where market prices
reflect a true consensus of the value of traded products among the
market participants, where the intentional or unintentional
influence of any one market participant is minimized if not
eliminated, and where unfair or inequitable advantages with respect
to information access are minimized if not eliminated.
[0004] One manner in which electronic marketplaces attempt to
achieve these goals is by equitably providing access to public
market information, such as by efficiently disseminating public
data, e.g. market data, prices, etc. or changes thereto, to all
market participants. As new products are added to an Exchange and
existing products are traded, many products may be thinly traded or
not traded at all. The Exchange has a strong interest in promoting
awareness of activity in nascent markets in order to encourage
additional activity and achieving growth of those markets.
Awareness of activity in nascent markets by market participants in
"electronic" marketplaces is difficult due to constraints on the
amount of, and media by which, information may be provided to
participants (e.g., due to communications bandwidth constraints),
the limited display screen space used to monitor thousands of
products listed on the Exchange, etc.
BRIEF DESCRIPTION OF THE DRAWINGS
[0005] FIG. 1 depicts an illustrative computer network system that
may be used to implement aspects of the disclosed embodiments.
[0006] FIG. 2 depicts a block diagram of an exemplary
implementation of the system of FIG. 1 for facilitating the
dissemination of order status information.
[0007] FIG. 3 depicts a flow chart showing operation of the system
of FIGS. 1 and 2.
[0008] FIG. 4 shows an illustrative embodiment of a general
computer system for use with the system of FIGS. 1 and 2.
[0009] FIG. 5 depicts an exemplary embodiment for facilitating the
dissemination of order status information.
[0010] FIG. 6 depicts an exemplary message used with a disclosed
embodiment.
DETAILED DESCRIPTION
[0011] The disclosed embodiments relate to facilitating the
dissemination of order status information to market participants
from an Exchange, such as the Chicago Mercantile Exchange ("CME").
According to one or more disclosed embodiments, a system or method
is provided for monitoring one or more thinly traded products
and/or markets and converting the exchange-based order information
of a given product or market into messages (e.g., instant messages)
to market participants. When the status of one or more monitored
products or markets changes, an instant message may be generated
reflecting those changes in the market. The instant messages may be
disseminated to all, or a subset of, market participants who have
registered interest in the monitored product.
[0012] One or more of the disclosed embodiments may improve
existing systems and methods for monitoring new or existing
products, such as in thinly traded markets, in an "electronic"
marketplace and informing market participants when there is
interest in one or more thinly traded markets. The disclosed
systems and methods may provide an Exchange with an efficient way
to facilitate the dissemination of information for multiple markets
in a manner that supports the market participants' current workflow
and in a manner that minimizes consumption of the participant's
computational resources (e.g., does not take their desktop real
estate), such as by leveraging the existing instant messaging based
applications on the market makers' computer system user interfaces
(e.g., desktops).
[0013] One or more of the disclosed embodiments may also result in
more quote activity by market participants in an Exchange, narrower
bid-ask widths and accurate price discovery by facilitating the
monitoring a multitude of products and/or markets and by notifying
a large distribution list of market participants.
[0014] One or more of the disclosed embodiments may also reduce the
amount of information that must be communicated to the market
participant and may also reduce distractions to one or more market
participants, thereby improving efficiency and reducing errors. For
example, in a live environment, such as a trading pit, market
participants are able to observe market conditions by perceiving,
consuming and synthesizing large volumes of information via
multiple high bandwidth communications channels (i.e., by receiving
information in the trading pit by monitoring numerous computer
displays, listening to other traders, observing market activity and
volume, etc.). Further, in such a live environment, the ability to
discriminate between relevant and superfluous information may be
enhanced by the market participant's immersion therein. However, in
an electronic trading environment, the flow of information may be
funneled through or otherwise constrained by the information
channels available via the market participant's electronic device
(i.e., a computer, mobile phone, etc.), which may significantly
impede the market participant's ability to monitor market
conditions. In other words, as opposed to the trading pit wherein
the participant is exposed to or otherwise immersed in multiple
information sources which surround the participant, in an
electronic trading environment, all information is channeled or
otherwise flows to the participant via a singular medium (i.e., the
interface of their electronic trading terminal), focusing and
compacting that flow of information. Further, the information
channels available in an electronic trading environment may also
limit the uptake of information and/or limit the ability to
discriminate among various information sources. These problems may
be exacerbated in a fast moving market. Accordingly, while
electronic trading systems may provide significant benefits (e.g.,
with respect to trading efficiency, information access, data
analysis, etc.), such electronic trading systems may detract from
the participant's ability to observe market conditions and to
perceive and process large amounts of information provided via a
variety of independent communication channels. One or more of the
disclosed embodiments may mitigate or eliminate this problem by
off-loading the need to observe various market conditions, such as
activity in a thinly traded market, thereby reducing the amount of
information that must be consumed, and further reducing
distractions. Thus, by automating the monitoring various market
conditions and only alerting the market participant when necessary
(e.g., when a market condition changes), a market participant may
focus more attention on other matters.
[0015] It will be appreciated that the messages described herein
may be received simultaneously by market participants, or
temporally so close together as to be considered or perceived as
being simultaneously received, for example, the difference in their
time of receipt is too close to measure or otherwise discriminate
among, also referred to as "substantially simultaneously."
Accordingly, the message timing may be implementation dependent and
may depend on the implemented degree to which time of receipt of a
transaction may be measured by the receiver (e.g., based on the
implemented number of decimal place or number of bits used to
delineate time of receipt) and/or the implemented network collision
handling mechanisms which arbitrate among multiple transactions
(e.g., data packets, headers or the signals indicative thereof,
received within a defined time window).
[0016] While the disclosed embodiments may be discussed in relation
to communications of financial related messages among participants
in an electronic trading system, it will be appreciated that the
disclosed embodiments may be used for communications among
participants which consolidate public and private components in a
publicly distributed message. For example, where multiple
requestors make requests from a system but each wishes to remain
anonymous among all of the other requestors, the system may respond
to those requests with a single broadcast message to all of the
requestors indicating the status of each request rather than
individual response messages. The disclosed embodiments may
facilitate such a broadcast message allowing each requestor to know
the status of their own request without being able to associate the
remaining request statuses with any of the other requestors.
Accordingly, with respect to the disclosed electronic trading
system embodiment, the term "participant" may refer to a trader,
clearing member, market participant, or other user of an electronic
trading system and the term "message" may refer to request messages
such as orders to trade (e.g., buy or sell), a financial product,
requests to modify or cancel previous orders, as well as the
response messages thereto, as will be described. However, it will
be appreciated that a participant may be any user of a
communications system, or may refer to a device used by such as
user, and a message, whether requests or responses thereto, may be
for any purpose, as described herein.
[0017] Further, while the disclosed embodiments may be discussed in
relation to futures and/or options on futures trading, it will be
appreciated that the disclosed embodiments may be applicable to any
equity, options or futures trading system or market now available
or later developed. It will be appreciated that a trading
environment, such as a futures exchange as described herein,
implements one or more economic markets where rights and
obligations may be traded. As such, a trading environment may be
characterized by a need to maintain market integrity, transparency,
predictability, fair/equitable access and participant expectations
with respect thereto. For example, an exchange must respond to
inputs, such as trader orders, cancellation, etc., in a manner as
expected by the market participants, such as based on market data
(e.g., prices), available counter-orders, etc., to provide an
expected level of certainty that transactions will occur in a
consistent and predictable manner. In addition, it will be
appreciated that electronic trading systems further impose
additional expectations and demands by market participants as to
transaction processing speed, latency, capacity and response time,
while creating additional complexities relating thereto.
Accordingly, as will be described, the disclosed embodiments may
further include functionality to ensure that the expectations of
market participant are met (e.g., that predictable system responses
are maintained).
[0018] As used herein, a financial message refers both to messages
communicated by market participants to an electronic trading system
and vice versa. Financial messages communicated to the electronic
trading system, also referred to as "inbound" messages, may include
request or order messages, such as trader orders, order
modifications, order cancellations and the like, as well as other
message types. Financial messages communicated from the electronic
trading system, referred to as "outbound" messages, may include
messages responsive to inbound messages, such as confirmation or
acknowledgment messages, or other messages such as market update
messages, quote messages, and the like, such as the alert messages
discussed below.
[0019] Financial messages may further be categorized as having or
reflecting an impact on a market or electronic marketplace, also
referred to as an "order book" or "book," for a traded product,
such as a prevailing price therefore, number of resting orders at
various price levels and quantities thereof, etc., or not having or
reflecting an impact on a market or a subset or portion thereof.
For example a request to place a trade may result in a response
indicative of the trade either being matched with, or being rested
on an order book to await, a suitable counter-order. This response
may include a message directed solely to the trader who submitted
to the order to acknowledge receipt of the order and report whether
it was matched, and the extent thereto, or rested. The response may
further include a message to all market participants reporting a
change in the order book due to the order. This response may take
the form of a report of the specific change to the order book, e.g.
an order for quantity X at price Y was added to the book (referred
to as a Market By Order message), or may simply report the result,
e.g. price level Y is now has 5 orders for a total quantity if Z
(where Z is the sum of the previous resting quantity plus quantity
X of the new order) (referred to as a Market By Price message). In
some cases, requests may elicit a non-impacting response, such as
temporally proximate to the receipt of the request and then cause a
separate market-impact reflecting response at a later time. For
example, a stop order, fill or kill order, aka an immediate or
cancel order, or other conditional request may not have an
immediate market impacting effect, if at all, until the requisite
conditions are met. Accordingly, an acknowledgement or confirmation
of receipt (e.g., a non-market impacting communication) may be sent
to the trader simply confirming that the order was received. Upon
the conditions being met and a market impacting result thereof
occurring, a market-impacting message may be transmitted as
described herein both directly back to the submitting market
participant and to all market participants (in a Market By Price
"MBP" or Market By Order "MBO" format). It will be appreciated that
additional conditions may be specified, such as a time or price
limit, which may cause the order to be dropped or otherwise
canceled and that such an event may result in another
non-market-impacting communication instead. As will be described
below, in some implementations market impacting communications may
be communicated separately from non-market impacting
communications, such as via a separate communications channel or
feed. It will be further appreciated that various types of market
data feeds may be provided which reflect different market or
aspects thereof. Market participants may then, for example,
subscribe to receive those feeds of interest to them. As market
impacting communications tend to be more important to market
participants then non impacting communications, this separation may
reduce congestion and/or noise among those communications having or
reflecting an impact on a market or portion thereof. Furthermore, a
particular market data feed may only communicate information
related to the top buy/sell prices for a particular product,
referred to as "top of book" feed, e.g. only changes to the top 10
price levels are communicated. Such limitations may be implemented
to reduce consumption of bandwidth and message generation
resources. In this case, while a request message may be considered
market-impacting if it affects a price level other than the top
buy/sell prices, it will not result in a message being sent to the
market participants. Generally, the disclosed embodiments may be
used in conjunction with a restructuring of response messages
reflecting market impacting events to reduce redundant data and
convey more relevant information about the event to all market
participants sooner than less relevant information so that the
market participants may comprehend the event more quickly.
Furthermore, the disclosed embodiments may be used in conjunction
with consolidation of the communication of market impact reflecting
response messages (e.g., responsive to inbound messages) with other
market impact reflecting messages as will be described. In other
implementations, these communications may or may not be further
consolidated with non-market impacting messages.
[0020] Examples of the various types of market data feeds which may
be provided by electronic trading systems, such as the CME, in
order to provide different types or subsets of market information
or to provide such information in different formats include Market
By Order, Market Depth (a.k.a., Market by Price to a designated
depth of the book) (e.g., CME offers a 10-deep market by price
feed), Top of Book (a single depth Market by Price feed), and
combinations thereof. There may also be all manner of specialized
feeds in terms of the content (i.e., providing, for example,
derived data, such as a calculated index). Market data feeds may be
characterized as providing a "view" or "overview" of a given
market, an aggregation or a portion thereof or changes thereto. For
example, a market data feed, referred to as a Market By Price
("MBP") feed, may convey, with each message, the entire/current
state of a market, or portion thereof, for a particular product as
a result of one or more market impacting events. For example, an
MBP message may convey a total quantity of resting buy/sell orders
at a particular price level in response to a new order being placed
at that price. An MBP message may convey a quantity of an
instrument which was traded in response to an incoming order being
matched with one or more resting orders. MBP messages may only be
generated for events affecting a portion of a market (e.g., only
the top 10 resting buy/sell orders), and thereby, only provide a
view of that portion. As used herein, a market impacting request
may be said to impact the "view" of the market as presented via the
market data feed. An MBP feed may utilize different message formats
for conveying different types of market impacting events. For
example, when a new order is rested on the order book, an MBP
message may reflect the current state of the price level to which
the order was added (e.g., the new aggregate quantity and the new
aggregate number of resting orders). As can be seen, such a message
conveys no information about the resting orders, including the
newly rested order, themselves to the market participants. Only the
submitting market participant, who receives a separate private
message acknowledging the event, knows that it was their order that
was added to the book. Similarly, when a trade occurs, an MBP
message may be sent which conveys the price at which the instrument
was traded, the quantity traded and the number of participating
orders, but may convey no information as to whose particular orders
contributed to the trade. MBP feeds may further batch reporting of
multiple events, i.e. report the result of multiple market
impacting events in a single message.
[0021] Alternatively, a market data feed, referred to as a Market
By Order ("MBO") feed, may convey data reflecting a change that
occurred to the order book rather than the result of that change
(e.g., that order ABC for quantity X was added to price level Y or
that order ABC and order XYZ traded a quantity X at a price Y). In
this case, the MBO message identifies only the change that occurred
so a market participant wishing to know the current state of the
order book must maintain their own copy and apply the change
reflected in the message to know the current state. As can be seen,
MBO messages carry much more data because they reflect any market
impacting change. Furthermore, because specific orders, but not the
submitting traders thereof, are identified, other market
participants may be able to follow that order as it progresses
through the market (e.g., as it is modified, canceled, traded,
etc.).
[0022] It will be appreciated that number, type and manner of
market data feeds provided by an electronic trading system are
implementation dependent and may vary depending upon the types of
products traded by the electronic trading system, customer/trader
preferences, bandwidth and data processing limitations, etc. and
that all such feeds, now available or later developed, are
contemplated herein. As such, MBP and MBO feeds may refer to
categories/variations of market data feeds, distinguished by
whether they provide an indication of the current state of a market
resulting from a market impacting event (MBP) or an indication of
the change in the current state of a market due to a market
impacting event (MBO).
[0023] Messages, whether MBO or MBP, generated responsive to market
impacting events which are caused by a single order, such as a new
order, an order cancelation, an order modification, etc., are
fairly simple and compact and easily created and transmitted.
However, messages, whether MBO or MBP, generated response to market
impacting events which are caused by more than one order, such as a
trade, may require the transmission of a significant amount of data
to convey the requisite information to the market participants. For
trades involving a large number of orders (e.g., a buy order for a
quantity of 5000 which matches 5000 sell orders each for a quantity
of 1), a significant amount of information may need to be sent
(e.g., data indicative of each of the 5000 trades that have
participated in the market impacting event).
[0024] Referring to FIG. 5, an exemplary embodiment for
facilitating the dissemination of order status information is
provided. The system 500 includes an exchange market watcher
service 502, an exchange order book 504, one or more market makers
506, and a market participant computer screen desktop 508. The
market participant computer screen desktop 508 includes one or more
trading market windows 510A and 510B, and an instant message
windows 512. Additional, different, or fewer components may be
provided.
[0025] The exchange market watcher service 502 monitors the
exchange order book 504 for changes in the status of one or more
products and/or markets. The exchange market watcher service 502 is
part of another component of a trading network environment, such as
the transaction processing system. In this embodiment, the
transaction processing system (e.g., the match engine) is thus
improved by providing alerts to market participants about status
changes for the monitored product. Alternatively, according to
another embodiment, the exchange market watcher service 502 is a
standalone system that monitors the exchange order book 502 through
access to the trading network environment. For example, the
exchange market watcher service is implemented with a computer
program that electronically monitors the exchange order book 504.
Market makers 506 register interest in receiving order update
information in the form of instant message for products that the
market maker 506 is interested in. For example, a market maker 506
may register by "opting-in" (e.g., signing up for alerts via a web
based interface, or via telephone, mailing, etc.). In another
example, a business line manager (BLM) may register users based on
a market maker's expressed interested in a new or existing product
or market (e.g., by developing relationships with market makers and
through relationship management). In yet another example, a market
maker 506 may be automatically registered for alerts (e.g., after
requesting information about or searching for new or existing
products or markets). Additional, different, or fewer registration
methodologies may be provided.
[0026] One or more market makers 506 register with the exchange
market watcher service 502 to monitor certain conditions for one or
more products and/or markets. A market maker 506 is any user of an
electronic trading system, such as market participants, market
makers, traders, clearing members, and other users. The market
makers 506 are interested in changes in the status of one or more
products and/or markets represented in the exchange order book
502.
[0027] The exchange order book 504 includes the current bid and
offer prices to enter a transaction for various products and/or
markets. For example, exchange order book 504 includes the current
buy and sell prices and quantities for a futures market. Referring
to FIG. 5, the exchange order book 504 includes product
designations (e.g., NGF6, NGG6, LNF6, LNG6 and MFF6), a buy
quantity for each product designation (e.g., 30, 10, 5, 15 and 5,
respectively), a buy price for each product designation (e.g.,
3250, 3350, 4500, 4600 and 2350, respectively), a sell quantity for
each product designation (e.g., 10, 5, 7, 1 and 7, respectively)
and a sell price for each product designation (e.g., 3252, 3352,
4650, 4750 and 2400, respectively). When a new bid or offer
transaction is entered by a market participant, the unsatisfied
transaction will be entered on the exchange order book 504. For
example, a market participant enters a bid to buy a new product
(e.g., designated by MFF6) at a quantity of 5 contracts for $2,350
per contract. Further, another market participant enters a bid to
sell the new product MFF6 at a quantity of 7 contracts for $2,400
per contract.
[0028] The market makers 506 may be interested in thinly traded
markets. Thinly traded markets may be markets for products with low
market activity (e.g., less than a threshold number of bids and
offers, such as five (5) bids and five (5) offers), with low market
volume (e.g., less than a threshold number of total contracts to
buy and sell, such as ten (10) contracts to buy and ten (10)
contracts to sell), and/or with existing unsatisfied orders that
have sat on the market for a long period of time (e.g., such as a
day, week, month, year, etc. depending on the market). For example,
a thinly traded market may be a market for a product that cannot be
easily sold or traded due to a limited number of interested buyers
and/or sellers, or may require a substantial change in price to
satisfy a transaction between interested buyers and sellers. In
this example, there may not be any interested buyers and/or
sellers, or less than a threshold number of interested buyers
and/or sellers. Further, thinly traded markets may be markets for
new products that have not been traded yet or have not gained
sufficient traction in the market (e.g., less than a threshold
number of total bids and offers, such as one hundred (100) offers,
or less than a threshold number of satisfied transactions, such as
one hundred (100) trades per day, week, month, year, etc.). For
example, the new or existing product MFF6 is a thinly traded
product. In this example, the market makers 506 register with the
exchange market watcher service 502 to receive changes in the
status of the new or existing product MFF6 in the exchange order
book 504.
[0029] In one embodiment, the product MFF6 is a new product on the
Exchange that has yet to be traded, or is rarely traded, because it
has not gained traction in the market. In this embodiment, the
market makers 506 are interested in any transactions for the new
product MFF6. The exchange market watcher service 502 monitors the
exchange order book 504 for any transactions entered for the new
product MFF6 and notifies the market makers 506 of transactions.
According to the registration preferences of the market maker 506,
the market maker 506 may continue to receive notifications of all
transactions for the new product MFF6, or may limit the number of
notification by capping total number of notifications based on the
number of transactions (e.g., provide notifications for each
transaction up to a threshold number of transactions) or by
throttling the number of notifications (e.g., provide notifications
for transactions at a specified strike price, transactions during a
specified time frame, etc.). In another example, the market makers
506 may be interested in receiving notifications for satisfied
transactions.
[0030] In another embodiment, the product MFF6 is a new or existing
product on the Exchange. In this embodiment, the market makers 506
are interested monitoring the rate of transactions for the product
MFF6. For example, the rate of transactions can be measured by the
activity in the market (e.g., how many transactions are entered),
by the market volume (e.g., how many contracts are entered), or a
combination thereof. The activity and volume of transactions can be
indicative of preferred market conditions. For example, a high
level activity in a market of participation with low volume (e.g.,
many transactions for low quantities) may be preferred to low
activity with high volume (e.g., few transactions for large
quantities), and vice versa. In this embodiment, the market makers
506 register with the exchange market watcher service 502 to
monitor the rate of transactions being entered on the exchange
order book 504 (e.g., activity and/or volume is
increasing/accelerating, decreasing/decelerating, or there is no
activity). In another example, the market makers 506 may only be
interested in receiving notifications for the rate of satisfied
transactions.
[0031] In yet another embodiment, the market makers 506 are
interested monitoring other market conditions for the product MFF6,
such as bid-offer width, sufficient or insufficient market depth,
volume weighted average price (VWAP), etc. For example, the market
makers 506 may be interested in the bid-offer width, such as when
the difference between a transaction to buy a product and a
transaction to sell the product is a less than a threshold amount.
In another example, the market makers 506 may be interested in the
market depth, such as when an incoming transaction changes the
price of the product by more or less than a threshold amount.
Additional and different market conditions may be monitored.
[0032] In an embodiment, a plurality of market makers 506 are
interested in monitoring market conditions for a plurality of
non-overlapping products. For, example, one market maker registers
for alerts for products NGF6, NGG6 and LNG6, and a second market
maker registers for alerts for products LNF6 and MFF6. In this
example, the market watcher service 502 maintains a data structure
for storing the various market maker registrations, and monitors
the exchange order book 504 for changes in the market conditions
for the registered products. When the market conditions for a
registered product changes, the market watcher service 502
cross-references the data structure and provides alerts to the
market makers 506 that registered for alerts for the registered
product. In another example, the two market makers 506 register for
alerts based on different market conditions for the same product
MFF6 (e.g., different market volume or activity thresholds, etc.).
Additional and different combinations of market makers, monitored
products and market conditions may be monitored.
[0033] The market participant computer screen desktop 508 provides
a market maker 506 with one or more trading market windows 510A and
510B, and an instant message windows 512. Market makers 506 monitor
exchanged based electronic market activity using the market
participant computer screen desktop 508. For example, the market
makers 506 can choose to monitor specific products using one or
more trading market windows 510A and 510B. The market makers 506
also use instant messaging for communicating over-the-counter order
flow via instant message window 512. Market makers 506 communicate
with other market participants using instant messaging
applications. The instant messaging applications facilitate
communication between multiple market participants (e.g., instant
message contacts or "buddies") using the limited desktop space
efficiently. Instant messages will then be sent to a chat room
and/or through one or more instant messaging platforms to a
distribution list of interested traders.
[0034] In an embodiment, the exchange market watcher service 502
leverages the existing instant messaging based applications and
instant message windows 512 on the market participant computer
screen desktops 508 to provide notifications of market conditions.
In this example, a market alert is provided when a bid for 5
contracts of the new product MFF6 at $2,350 for each contract.
Similarly, a market alert is provided when an offer for 7 contracts
of the new product MFF6 at $2,400 for each contract.
[0035] Referring to FIG. 6, an exemplary instant message used in
another disclosed embodiment is depicted. In this example, a market
participant has an instant message contact for the exchange market
watcher service 502 (e.g., "cme_marketupdate"). Messages from the
instant message contact may be displayed in a chat room, or in a
separate tab for the contact. Further, in this example, when an
offer to enter a transaction for a new product (e.g., "Chicago
Ethanol Future CU") is entered into the market order book 504, the
market participant is notified (e.g., "1 Offer @ 1.3955 Mar15
Chicago Ethanol Future CU"). In this example, the type of
transaction (e.g., bid or offer), the quantity of the transaction
(e.g., how many contracts), the price per contract, the date and
the product designation is provided. Additional, different, or less
information may be provided.
[0036] In additional embodiments, notifications may be provided by
the exchange market watcher service 502 to market makers 506 via
electronic mail (email), mobile phone text messaging, automated
telephone calls, "tweets" on Twitter.RTM., etc. Additional and
different notifications may be provided.
[0037] Referring to FIG. 4, an illustrative embodiment of a general
computer system 400 is shown. The computer system 400 can include a
set of instructions that can be executed to cause the computer
system 400 to perform any one or more of the methods or computer
based functions disclosed herein. The computer system 400 may
operate as a standalone device or may be connected (e.g., using a
network, to other computer systems or peripheral devices). Any of
the components discussed above, such as the processor 202, may be a
computer system 400 or a component in the computer system 400. The
computer system 400 may implement a match engine, margin
processing, payment or clearing function on behalf of an exchange,
such as the Chicago Mercantile Exchange, of which the disclosed
embodiments are a component thereof.
[0038] In a networked deployment, the computer system 400 may
operate in the capacity of a server or as a client user computer in
a client-server user network environment, or as a peer computer
system in a peer-to-peer (or distributed) network environment. The
computer system 400 can also be implemented as or incorporated into
various devices, such as a personal computer (PC), a tablet PC, a
set-top box (STB), a personal digital assistant (PDA), a mobile
device, a palmtop computer, a laptop computer, a desktop computer,
a communications device, a wireless telephone, a land-line
telephone, a control system, a camera, a scanner, a facsimile
machine, a printer, a pager, a personal trusted device, a web
appliance, a network router, switch or bridge, or any other machine
capable of executing a set of instructions (sequential or
otherwise) that specify actions to be taken by that machine. In a
particular embodiment, the computer system 400 can be implemented
using electronic devices that provide voice, video or data
communication. Further, while a single computer system 400 is
illustrated, the term "system" shall also be taken to include any
collection of systems or sub-systems that individually or jointly
execute a set, or multiple sets, of instructions to perform one or
more computer functions.
[0039] As illustrated in FIG. 4, the computer system 400 may
include a processor 402 (e.g., a central processing unit (CPU)), a
graphics processing unit (GPU), or both. The processor 402 may be a
component in a variety of systems. For example, the processor 402
may be part of a standard personal computer or a workstation. The
processor 402 may be one or more general processors, digital signal
processors, application specific integrated circuits, field
programmable gate arrays, servers, networks, digital circuits,
analog circuits, combinations thereof, or other now known or later
developed devices for analyzing and processing data. The processor
402 may implement a software program, such as code generated
manually (i.e., programmed).
[0040] The computer system 400 may include a memory 404 that can
communicate via a bus 408. The memory 404 may be a main memory, a
static memory, or a dynamic memory. The memory 404 may include, but
is not limited to computer readable storage media such as various
types of volatile and non-volatile storage media, including but not
limited to random access memory, read-only memory, programmable
read-only memory, electrically programmable read-only memory,
electrically erasable read-only memory, content addressable memory,
flash memory, magnetic tape or disk, optical media and the like. In
one embodiment, the memory 404 includes a cache or random access
memory for the processor 402. In alternative embodiments, the
memory 404 is separate from the processor 402, such as a cache
memory of a processor, the system memory, or other memory. The
memory 404 may be an external storage device or database for
storing data. Examples include a hard drive, compact disc ("CD"),
digital video disc ("DVD"), memory card, memory stick, floppy disc,
universal serial bus ("USB") memory device, or any other device
operative to store data. The memory 404 is operable to store
instructions executable by the processor 402. The functions, acts
or tasks illustrated in the figures or described herein may be
performed by the programmed processor 402 executing the
instructions 412 stored in the memory 404. The functions, acts or
tasks are independent of the particular type of instructions set,
storage media, processor or processing strategy and may be
performed by software, hardware, integrated circuits, firm-ware,
micro-code and the like, operating alone or in combination.
Likewise, processing strategies may include multiprocessing,
multitasking, parallel processing and the like.
[0041] As shown, the computer system 400 may further include a
display unit 414, such as a liquid crystal display (LCD), an
organic light emitting diode (OLED), a flat panel display, a solid
state display, a cathode ray tube (CRT), a projector, a printer or
other now known or later developed display device for outputting
determined information. The display 414 may act as an interface for
the user to see the functioning of the processor 402, or
specifically as an interface with the software stored in the memory
404 or in the drive unit 406.
[0042] Additionally, the computer system 400 may include an input
device 416 configured to allow a user to interact with any of the
components of system 400. The input device 416 may be a number pad,
a keyboard, or a cursor control device, such as a mouse, or a
joystick, touch screen display, remote control or any other device
operative to interact with the system 400.
[0043] In a particular embodiment, as depicted in FIG. 4, the
computer system 400 may also include a disk or optical drive unit
406. The disk drive unit 406 may include a computer-readable medium
410 in which one or more sets of instructions 412 (e.g., software),
can be embedded. Further, the instructions 412 may embody one or
more of the methods or logic as described herein. In a particular
embodiment, the instructions 412 may reside completely, or at least
partially, within the memory 404 and/or within the processor 402
during execution by the computer system 400. The memory 404 and the
processor 402 also may include computer-readable media as discussed
above.
[0044] The present disclosure contemplates a computer-readable
medium that includes instructions 412 or receives and executes
instructions 412 responsive to a propagated signal, so that a
device connected to a network 420 can communicate voice, video,
audio, images or any other data over the network 420. Further, the
instructions 412 may be transmitted or received over the network
420 via a communication interface 418. The communication interface
418 may be a part of the processor 402 or may be a separate
component. The communication interface 418 may be created in
software or may be a physical connection in hardware. The
communication interface 418 is configured to connect with a network
420, external media, the display 414, or any other components in
system 400, or combinations thereof. The connection with the
network 420 may be a physical connection, such as a wired Ethernet
connection or may be established wirelessly as discussed below.
Likewise, the additional connections with other components of the
system 400 may be physical connections or may be established
wirelessly.
[0045] The network 420 may include wired networks, wireless
networks, or combinations thereof. The wireless network may be a
cellular telephone network, an 802.11, 802.16, 802.20, or WiMax
network. Further, the network 420 may be a public network, such as
the Internet, a private network, such as an intranet, or
combinations thereof, and may utilize a variety of networking
protocols now available or later developed including, but not
limited to TCP/IP based networking protocols.
[0046] Embodiments of the subject matter and the functional
operations described in this specification can be implemented in
digital electronic circuitry, or in computer software, firmware, or
hardware, including the structures disclosed in this specification
and their structural equivalents, or in combinations of one or more
of them. Embodiments of the subject matter described in this
specification can be implemented as one or more computer program
products (i.e., one or more modules of computer program
instructions encoded on a computer readable medium for execution
by, or to control the operation of, data processing apparatus).
While the computer-readable medium is shown to be a single medium,
the term "computer-readable medium" includes a single medium or
multiple media, such as a centralized or distributed database,
and/or associated caches and servers that store one or more sets of
instructions. The term "computer-readable medium" shall also
include any medium that is capable of storing, encoding or carrying
a set of instructions for execution by a processor or that cause a
computer system to perform any one or more of the methods or
operations disclosed herein. The computer readable medium can be a
machine-readable storage device, a machine-readable storage
substrate, a memory device, or a combination of one or more of
them. The term "data processing apparatus" encompasses all
apparatus, devices, and machines for processing data, including by
way of example a programmable processor, a computer, or multiple
processors or computers. The apparatus can include, in addition to
hardware, code that creates an execution environment for the
computer program in question (e.g., code that constitutes processor
firmware, a protocol stack, a database management system, an
operating system, or a combination of one or more of them).
[0047] In a particular non-limiting, exemplary embodiment, the
computer-readable medium can include a solid-state memory such as a
memory card or other package that houses one or more non-volatile
read-only memories. Further, the computer-readable medium can be a
random access memory or other volatile re-writable memory.
Additionally, the computer-readable medium can include a
magneto-optical or optical medium, such as a disk or tapes or other
storage device to capture carrier wave signals such as a signal
communicated over a transmission medium. A digital file attachment
to an e-mail or other self-contained information archive or set of
archives may be considered a distribution medium that is a tangible
storage medium. Accordingly, the disclosure is considered to
include any one or more of a computer-readable medium or a
distribution medium and other equivalents and successor media, in
which data or instructions may be stored.
[0048] In an alternative embodiment, dedicated hardware
implementations, such as application specific integrated circuits,
programmable logic arrays and other hardware devices, can be
constructed to implement one or more of the methods described
herein. Applications that may include the apparatus and systems of
various embodiments can broadly include a variety of electronic and
computer systems. One or more embodiments described herein may
implement functions using two or more specific interconnected
hardware modules or devices with related control and data signals
that can be communicated between and through the modules, or as
portions of an application-specific integrated circuit.
Accordingly, the present system encompasses software, firmware, and
hardware implementations.
[0049] In accordance with various embodiments of the present
disclosure, the methods described herein may be implemented by
software programs executable by a computer system. Further, in an
exemplary, non-limited embodiment, implementations can include
distributed processing, component/object distributed processing,
and parallel processing. Alternatively, virtual computer system
processing can be constructed to implement one or more of the
methods or functionality as described herein.
[0050] Although the present specification describes components and
functions that may be implemented in particular embodiments with
reference to particular standards and protocols, the invention is
not limited to such standards and protocols. For example, standards
for Internet and other packet switched network transmission (e.g.,
TCP/IP, UDP/IP, HTML, HTTP, HTTPS) represent examples of the state
of the art. Such standards are periodically superseded by faster or
more efficient equivalents having essentially the same functions.
Accordingly, replacement standards and protocols having the same or
similar functions as those disclosed herein are considered
equivalents thereof.
[0051] A computer program (also known as a program, software,
software application, script, or code) can be written in any form
of programming language, including compiled or interpreted
languages, and it can be deployed in any form, including as a
standalone program or as a module, component, subroutine, or other
unit suitable for use in a computing environment. A computer
program does not necessarily correspond to a file in a file system.
A program can be stored in a portion of a file that holds other
programs or data (e.g., one or more scripts stored in a markup
language document), in a single file dedicated to the program in
question, or in multiple coordinated files (e.g., files that store
one or more modules, sub programs, or portions of code). A computer
program can be deployed to be executed on one computer or on
multiple computers that are located at one site or distributed
across multiple sites and interconnected by a communication
network.
[0052] The processes and logic flows described in this
specification can be performed by one or more programmable
processors executing one or more computer programs to perform
functions by operating on input data and generating output. The
processes and logic flows can also be performed by, and apparatus
can also be implemented as, special purpose logic circuitry, e.g.,
an FPGA (field programmable gate array) or an ASIC (application
specific integrated circuit).
[0053] Processors suitable for the execution of a computer program
include, by way of example, both general and special purpose
microprocessors, and any one or more processors of any kind of
digital computer. Generally, a processor will receive instructions
and data from a read only memory or a random access memory or both.
The essential elements of a computer are a processor for performing
instructions and one or more memory devices for storing
instructions and data. Generally, a computer will also include, or
be operatively coupled to receive data from or transfer data to, or
both, one or more mass storage devices for storing data (e.g.,
magnetic, magneto optical disks, or optical disks). However, a
computer need not have such devices. Moreover, a computer can be
embedded in another device, e.g., a mobile telephone, a personal
digital assistant (PDA), a mobile audio player, a Global
Positioning System (GPS) receiver, to name just a few. Computer
readable media suitable for storing computer program instructions
and data include all forms of non-volatile memory, media and memory
devices, including by way of example semiconductor memory devices,
e.g., EPROM, EEPROM, and flash memory devices; magnetic disks
(e.g., internal hard disks or removable disks); magneto optical
disks; and CD ROM and DVD-ROM disks. The processor and the memory
can be supplemented by, or incorporated in, special purpose logic
circuitry.
[0054] To provide for interaction with a user, embodiments of the
subject matter described in this specification can be implemented
on a device having a display (e.g., a CRT (cathode ray tube) or LCD
(liquid crystal display) monitor) for displaying information to the
user and a keyboard and a pointing device (e.g., a mouse or a
trackball) by which the user can provide input to the computer.
Other kinds of devices can be used to provide for interaction with
a user as well; for example, feedback provided to the user can be
any form of sensory feedback (e.g., visual feedback, auditory
feedback) or tactile feedback; and input from the user can be
received in any form, including acoustic, speech, or tactile
input.
[0055] Embodiments of the subject matter described in this
specification can be implemented in a computing system that
includes a back end component (e.g., as a data server), that
includes a middleware component (e.g., an application server), that
includes a front end component (e.g., a client computer having a
graphical user interface or a Web browser through which a user can
interact with an implementation of the subject matter described in
this specification), or any combination of one or more such back
end, middleware, or front end components. The components of the
system can be interconnected by any form or medium of digital data
communication (e.g., a communication network). Examples of
communication networks include a local area network ("LAN") and a
wide area network ("WAN") (e.g., the Internet).
[0056] The computing system can include clients and servers. A
client and server are generally remote from each other and
typically interact through a communication network. The
relationship of client and server arises by virtue of computer
programs running on the respective computers and having a
client-server relationship to each other.
[0057] In accordance with aspects of the disclosure, systems and
methods are disclosed for generating financial messages in
accordance therewith The disclosed embodiments are preferably
implemented with computer devices and computer networks, such as
those described with respect FIG. 4, that allow users (e.g., market
participants) to exchange trading information. It will be
appreciated that the plurality of entities utilizing the disclosed
embodiments (e.g., the market participants), may be referred to by
other nomenclature reflecting the role that the particular entity
is performing with respect to the disclosed embodiments and that a
given entity may perform more than one role depending upon the
implementation and the nature of the particular transaction being
undertaken, as well as the entity's contractual and/or legal
relationship with another market participant and/or the exchange.
An exemplary trading network environment for implementing trading
systems and methods is shown in FIG. 1. An exchange computer system
100 receives orders and transmits market data related to orders and
trades to users, such as via wide area network 126 and/or local
area network 124 and computer devices 114, 116, 118, 120 and 122,
as will be described below, coupled with the exchange computer
system 100. In one embodiment, the exchange computer system 100 may
include a data transaction processing system in which data items
are transacted by a hardware matching processor that matches
electronic data transaction request messages for the same one of
the data items based on multiple transaction parameters from
different client computers over a data communication network.
[0058] Herein, the phrase "coupled with" is defined to mean
directly connected to or indirectly connected through one or more
intermediate components. Such intermediate components may include
both hardware and software based components. Further, to clarify
the use in the pending claims and to hereby provide notice to the
public, the phrases "at least one of <A>, <B>, . . .
and <N>" or "at least one of <A>, <B>, . . .
<N>, or combinations thereof" are defined by the Applicants
in the broadest sense, superseding any other implied definitions
herebefore or hereinafter unless expressly asserted by the
Applicant to the contrary, to mean one or more elements selected
from the group comprising A, B, . . . and N, that is to say, any
combination of one or more of the elements A, B, . . . or N
including any one element alone or in combination with one or more
of the other elements which may also include, in combination,
additional elements not listed.
[0059] The exchange computer system 100 may be implemented with one
or more mainframe, desktop or other computers, such as the computer
400 described below with respect to FIGS. 1 and 4. A user database
102 may be provided which includes information identifying traders
and other users of exchange computer system 100, such as account
numbers or identifiers, user names and passwords. An account data
module 104 may be provided which may process account information
that may be used during trades. A match engine module 106 may be
included to match bid and offer prices and may be implemented with
software that executes one or more algorithms for matching bids and
offers. A trade database 108 may be included to store information
identifying trades and descriptions of trades. In particular, a
trade database may store information identifying the time that a
trade took place and the contract price. An order book module 110
may be included to compute or otherwise determine current bid and
offer prices. A market data module 112 may be included to collect
market data and prepare the data for transmission to users. A risk
management module 134 may be included to compute and determine a
user's risk utilization in relation to the user's defined risk
thresholds. An order processing module 136 may be included to
decompose delta based and bulk order types for processing by the
order book module 110 and/or match engine module 106. A
communication module 140 may be included to, among other things,
control the rate of acceptance of mass quote messages in accordance
with one or more aspects of the disclosed embodiments. It will be
appreciated that concurrent processing limits may be defined by or
imposed separately or in combination, as was described above, on
one or more of the trading system components, including the user
database 102, the account data module 104, the match engine module
106, the trade database 108, the order book module 110, the market
data module 112, the risk management module 134, the order
processing module 136, or other component of the exchange computer
system 100.
[0060] The trading network environment shown in FIG. 1 includes
exemplary computer devices 114, 116, 118, 120 and 122 which depict
different exemplary methods or media by which a computer device may
be coupled with the exchange computer system 100 or by which a user
may communicate, e.g. send and receive, trade or other information
therewith. It will be appreciated that the types of computer
devices deployed by traders and the methods and media by which they
communicate with the exchange computer system 100 is implementation
dependent and may vary and that not all of the depicted computer
devices and/or means/media of communication may be used and that
other computer devices and/or means/media of communications, now
available or later developed may be used. Each computer device,
which may comprise a computer 400 described in more detail below
with respect to FIG. 4, may include a central processor that
controls the overall operation of the computer and a system bus
that connects the central processor to one or more conventional
components, such as a network card or modem. Each computer device
may also include a variety of interface units and drives for
reading and writing data or files and communicating with other
computer devices and with the exchange computer system 100.
Depending on the type of computer device, a user can interact with
the computer with a keyboard, pointing device, microphone, pen
device or other input device now available or later developed.
[0061] An exemplary computer device 114 is shown directly connected
to exchange computer system 100, such as via a T1 line, a common
local area network (LAN) or other wired and/or wireless medium for
connecting computer devices, such as the network 420 shown in FIG.
4 and described below with respect thereto. The exemplary computer
device 114 is further shown connected to a radio 132. The user of
radio 132, which may include a cellular telephone, smart phone, or
other wireless proprietary and/or non-proprietary device, may be a
trader or exchange employee. The radio user may transmit orders or
other information to the exemplary computer device 114 or a user
thereof. The user of the exemplary computer device 114, or the
exemplary computer device 114 alone and/or autonomously, may then
transmit the trade or other information to the exchange computer
system 100.
[0062] Exemplary computer devices 116 and 118 are coupled with a
local area network ("LAN") 124 which may be configured in one or
more of the well-known LAN topologies, e.g. star, daisy chain,
etc., and may use a variety of different protocols, such as
Ethernet, TCP/IP, etc. The exemplary computer devices 116 and 118
may communicate with each other and with other computer and other
devices which are coupled with the LAN 124. Computer and other
devices may be coupled with the LAN 124 via twisted pair wires,
coaxial cable, fiber optics or other wired or wireless media. As
shown in FIG. 1, an exemplary wireless personal digital assistant
device ("PDA") 122, such as a mobile telephone, tablet based
compute device, or other wireless device, may communicate with the
LAN 124 and/or the Internet 126 via radio waves, such as via WiFi,
Bluetooth and/or a cellular telephone based data communications
protocol. PDA 122 may also communicate with exchange computer
system 100 via a conventional wireless hub 128.
[0063] FIG. 1 also shows the LAN 124 coupled with a wide area
network ("WAN") 126 which may be comprised of one or more public or
private wired or wireless networks. In one embodiment, the WAN 126
includes the Internet 126. The LAN 124 may include a router to
connect LAN 124 to the Internet 126. Exemplary computer device 120
is shown coupled directly to the Internet 126, such as via a modem,
DSL line, satellite dish or any other device for connecting a
computer device to the Internet 126 via a service provider
therefore as is known. LAN 124 and/or WAN 126 may be the same as
the network 420 shown in FIG. 4 and described below with respect
thereto.
[0064] As was described above, the users of the exchange computer
system 100 may include one or more market makers 130 which may
maintain a market by providing constant bid and offer prices for a
derivative or security to the exchange computer system 100, such as
via one of the exemplary computer devices depicted. The exchange
computer system 100 may also exchange information with other trade
engines, such as trade engine 138. One skilled in the art will
appreciate that numerous additional computers and systems may be
coupled to exchange computer system 100. Such computers and systems
may include clearing, regulatory and fee systems.
[0065] The operations of computer devices and systems shown in FIG.
1 may be controlled by computer-executable instructions stored on a
non-transitory computer-readable medium. For example, the exemplary
computer device 116 may include computer-executable instructions
for receiving order information from a user and transmitting that
order information to exchange computer system 100. In another
example, the exemplary computer device 118 may include
computer-executable instructions for receiving market data from
exchange computer system 100 and displaying that information to a
user.
[0066] Of course, numerous additional servers, computers, handheld
devices, personal digital assistants, telephones and other devices
may also be connected to exchange computer system 100. Moreover,
one skilled in the art will appreciate that the topology shown in
FIG. 1 is merely an example and that the components shown in FIG. 1
may include other components not shown and be connected by numerous
alternative topologies.
[0067] As shown in FIG. 1, the Exchange computer system 100
includes a market data module 112 which may implement the disclosed
mechanisms as will be describe with reference to FIG. 2. However,
as was discussed above, the disclosed mechanisms may be implemented
at any logical and/or physical point(s) through which the relevant
message traffic, and responses thereto, flows or is otherwise
accessible, including one or more gateway devices, modems, the
computers or terminals of one or more traders, etc.
[0068] FIG. 2 depicts a block diagram of a market data module 112
according to one embodiment, which in an exemplary implementation,
is implemented as part of the exchange computer system 100
described above. As used herein, an exchange 100 includes a place
or system that receives and/or executes orders. In particular, FIG.
2 shows a system 200 for providing market alerts to a plurality of
market participants, such as via network 214. It will be
appreciated that the disclosed embodiments may be applicable to
other types of messages depending upon the implementation.
[0069] The system 200 for providing market alerts to a plurality of
market participants via a network 214 includes a processor 202 and
a memory 204 coupled therewith which may be implemented a processor
402 and memory 404 as described with respect to FIG. 4. The memory
204 includes a data structure 204, which may be as a separate
memory component or as a first logic stored in the memory 204
operable to store one or more previously received but unsatisfied
transactions. The system 200 includes a matching processor 206 that
may be coupled with a data storage 204, which may be implemented as
a separate hardware component or as a second logic stored in the
memory 204 and executable by the processor 202 to cause the
processor 202 to, upon receipt of an incoming transaction, to
determine whether one or more previously received but unsatisfied
transactions are stored in the data structure which are at least
partially counter to the incoming transaction, and, based thereon,
store any residual unsatisfied portion of the incoming order or the
one or more previously received but unsatisfied orders in the data
structure.
[0070] The system 200 further includes a monitoring processor 210,
which may be implemented as a separate hardware component or as
third logic 210 stored in the memory 204 and executable by the
processor 202 to cause the processor 202 to monitor incoming
transactions received by the match processor 206 (e.g., directly,
or via the exchange order book or market data stream).
[0071] The system 200 further includes determining processor 220
which may be implemented as a separate hardware component or as
forth logic 220 stored in the memory 204 and executable by the
processor 202 to cause the processor 202 to determine when an
incoming transaction for a monitored product is indicative of a
change in the state of a market for the monitored product.
[0072] The system 200 further includes a message generation
processor 230 which may be implemented as a separate hardware
component or as fifth logic 230 stored in the memory 204 and
executable by the processor 202 to cause the processor 202 to
generate a message when it is determined that the incoming
transaction for a monitored product changed the state of the market
for the monitored product.
[0073] The system 200 further includes a message transmitter 240
which may be implemented as a separate hardware component or as
sixth logic 240 stored in the memory 204 and executable by the
processor 202 to cause the processor 202 to transmit the generated
message to the subset of the plurality of participants.
[0074] In one embodiment, a computer implemented method is provided
for releasing a data item having an alert for a transaction in a
data transaction processing system in which data items are
transacted by a hardware matching processor that matches electronic
data transaction request messages for the same one of the data
items based on multiple transaction parameters from different
client computers over a data communication network. The method
includes, prior to an initial processing by the hardware matching
processor to process an electronic transaction request, monitoring
by one or more hardware data processors whether the electronic
transaction request is received by the hardware matching processor
to process the electronic transaction request. Upon receipt of the
electronic transaction request by the hardware matching processor,
determining by one or more hardware data processors whether the
electronic transaction request was received by the hardware
matching processor. Upon determining that the electronic
transaction request was received by the hardware matching
processor, releasing the data item having an alert for the
transaction.
[0075] FIG. 3 depicts a flow chart showing operation of the system
200 of FIG. 2. In particular, FIG. 3 shows a computer implemented
method for providing alerts to at least a subset of a plurality of
participants via a network. At act 310, a data structure stored in
a memory and configured to store data indicative of one or more
previously received but unsatisfied transactions is provided. At
act 320, a match processor coupled with the memory and operative,
upon receipt of an incoming transaction, to determine whether one
or more previously received but unsatisfied transactions are stored
in the data structure which are at least partially counter to the
incoming transaction, and, based thereon, store any residual
unsatisfied portion of the incoming order or the one or more
previously received but unsatisfied orders in the data structure is
provided. At act 330, a monitoring processor coupled with the match
processor and the memory monitors incoming transactions received by
the match processor. At act 340, the monitoring processor
determines when an incoming transaction for a monitored product is
indicative of a change in the state of a market for the monitored
product. At act 350, the monitoring processor generates a message
when it is determined that the incoming transaction for the
monitored product changed the state of the market for the monitored
product. At act 360, the monitoring processor transmits the
generated message to the subset of the plurality of
participants.
[0076] In one or more embodiments, the monitoring processor
generates a message when an incoming transaction satisfies a
predetermined monitoring criteria or changes the status of the
monitored product.
[0077] In one or more embodiments, the message is an instant
message or an instant message in a chat room. In one or more
embodiments, generating the message converts the transaction into
the instant message.
[0078] In one or more embodiments, the changed state of the market
for the monitored product is a transaction for the monitored
product or an initial transaction for the monitored product
[0079] In one or more embodiments, the changed state of the market
for the monitored product is a satisfied transaction for the
monitored product or an initial satisfied transaction for the
monitored product.
[0080] In one or more embodiments, the changed state of the market
for the monitored product is one of a plurality of transactions for
the monitored product, wherein the total number of transactions in
the plurality of transactions is below a threshold number of
transactions (e.g., any transaction under five (5) total
transactions, etc.).
[0081] In one or more embodiments, the changed state of the market
for the monitored product is an increase in the product quantity in
the unsatisfied transactions increases over a threshold product
quantity (e.g., over ten (10) total contracts) or an increase in
the product quantity in the unsatisfied transactions increases by a
threshold product quantity (e.g., an increase by ten (10)
contracts, etc.).
[0082] In one or more embodiments, the changed state of the market
for the monitored product is an increase in the number of
transactions over a threshold number of transactions (e.g., over
five (5) total transactions, etc.) or an increase in the number of
transactions by a threshold number of transactions (e.g., an
increase by five (5) total transactions, etc.).
[0083] In one or more embodiments, the changed state of the market
for the monitored product occurs when the difference between a
transaction to buy a product and a transaction to sell a product is
less than a threshold amount (e.g., less than five ($5) dollars,
etc.).
[0084] In one or more embodiments, the changed state of the market
for the monitored product occurs when the incoming transaction
changes the price of a product by less than a threshold amount
(e.g., by less than five ($5) dollars, etc.) or when the incoming
transaction changes the price of a product by more than a threshold
amount (e.g., by more than five ($5) dollars, etc.).
[0085] The illustrations of the embodiments described herein are
intended to provide a general understanding of the structure of the
various embodiments. The illustrations are not intended to serve as
a complete description of all of the elements and features of
apparatus and systems that utilize the structures or methods
described herein. Many other embodiments may be apparent to those
of skill in the art upon reviewing the disclosure. Other
embodiments may be utilized and derived from the disclosure, such
that structural and logical substitutions and changes may be made
without departing from the scope of the disclosure. Additionally,
the illustrations are merely representational and may not be drawn
to scale. Certain proportions within the illustrations may be
exaggerated, while other proportions may be minimized. Accordingly,
the disclosure and the figures are to be regarded as illustrative
rather than restrictive.
[0086] While this specification contains many specifics, these
should not be construed as limitations on the scope of the
invention or of what may be claimed, but rather as descriptions of
features specific to particular embodiments of the invention.
Certain features that are described in this specification in the
context of separate embodiments can also be implemented in
combination in a single embodiment. Conversely, various features
that are described in the context of a single embodiment can also
be implemented in multiple embodiments separately or in any
suitable sub-combination. Moreover, although features may be
described above as acting in certain combinations and even
initially claimed as such, one or more features from a claimed
combination can in some cases be excised from the combination, and
the claimed combination may be directed to a sub-combination or
variation of a sub-combination.
[0087] Similarly, while operations are depicted in the drawings and
described herein in a particular order, this should not be
understood as requiring that such operations be performed in the
particular order shown or in sequential order, or that all
illustrated operations be performed, to achieve desirable results.
In certain circumstances, multitasking and parallel processing may
be advantageous. Moreover, the separation of various system
components in the embodiments described above should not be
understood as requiring such separation in all embodiments, and it
should be understood that the described program components and
systems can generally be integrated together in a single software
product or packaged into multiple software products.
[0088] One or more embodiments of the disclosure may be referred to
herein, individually and/or collectively, by the term "invention"
merely for convenience and without intending to voluntarily limit
the scope of this application to any particular invention or
inventive concept. Moreover, although specific embodiments have
been illustrated and described herein, it should be appreciated
that any subsequent arrangement designed to achieve the same or
similar purpose may be substituted for the specific embodiments
shown. This disclosure is intended to cover any and all subsequent
adaptations or variations of various embodiments. Combinations of
the above embodiments, and other embodiments not specifically
described herein, will be apparent to those of skill in the art
upon reviewing the description.
[0089] The Abstract of the Disclosure is provided to comply with 37
C.F.R. .sctn.1.72(b) and is submitted with the understanding that
it will not be used to interpret or limit the scope or meaning of
the claims. In addition, in the foregoing Detailed Description,
various features may be grouped together or described in a single
embodiment for the purpose of streamlining the disclosure. This
disclosure is not to be interpreted as reflecting an intention that
the claimed embodiments require more features than are expressly
recited in each claim. Rather, as the following claims reflect,
inventive subject matter may be directed to less than all of the
features of any of the disclosed embodiments. Thus, the following
claims are incorporated into the Detailed Description, with each
claim standing on its own as defining separately claimed subject
matter.
[0090] It is therefore intended that the foregoing detailed
description be regarded as illustrative rather than limiting, and
that it be understood that it is the following claims, including
all equivalents, that are intended to define the spirit and scope
of this invention.
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